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A minimax risk strategy for portfolio immunization

✍ Scribed by Joel R. Barber; Mark L. Copper

Publisher
Elsevier Science
Year
1998
Tongue
English
Weight
342 KB
Volume
23
Category
Article
ISSN
0167-6687

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✦ Synopsis

This paper develops a minimax immunization strategy for an infinite factor interest rate model. The risk of a portfolio of cash flows is measured as the maximum sensitivity of the portfolio value. The objective is to choose the portfolio whose maximum sensitivity over a set of possible interest rate shocks is minimum.

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